/usr/include/ql/experimental/finitedifferences/fdmhestonsolver.hpp is in libquantlib0-dev 1.1-2build1.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
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/*
Copyright (C) 2008 Andreas Gaida
Copyright (C) 2008, 2009 Ralph Schreyer
Copyright (C) 2008, 2009 Klaus Spanderen
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file fdmhestonsolver.hpp
*/
#ifndef quantlib_fdm_heston_solver_hpp
#define quantlib_fdm_heston_solver_hpp
#include <ql/handle.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/math/matrix.hpp>
#include <ql/experimental/finitedifferences/fdmquantohelper.hpp>
#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
namespace QuantLib {
class FdmInnerValueCalculator;
class FdmMesher;
class FdmSnapshotCondition;
class FdmStepConditionComposite;
class HestonProcess;
class BicubicSpline;
class FdmHestonSolver : public LazyObject {
public:
FdmHestonSolver(
const Handle<HestonProcess>& process,
const boost::shared_ptr<FdmMesher>& mesher,
const FdmBoundaryConditionSet & bcSet,
const boost::shared_ptr<FdmStepConditionComposite> & condition,
const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
Time maturity,
Size timeSteps,
Size dampingSteps = 0,
const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer(),
const Handle<FdmQuantoHelper>& quantoHelper
= Handle<FdmQuantoHelper>());
Real valueAt(Real s, Real v) const;
Real thetaAt(Real s, Real v) const;
// First and second order derivative with respect to S_t.
// Please note that this is not the "model implied" delta or gamma.
// E.g. see Fabio Mercurio, Massimo Morini
// "A Note on Hedging with Local and Stochastic Volatility Models",
// http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1294284
Real deltaAt(Real s, Real v) const;
Real gammaAt(Real s, Real v) const;
Real meanVarianceDeltaAt(Real s, Real v) const;
Real meanVarianceGammaAt(Real s, Real v) const;
protected:
void performCalculations() const;
void backwardSolve(boost::shared_ptr<FdmLinearOpComposite>& map) const;
private:
Handle<HestonProcess> process_;
const boost::shared_ptr<FdmMesher> mesher_;
const FdmBoundaryConditionSet bcSet_;
const boost::shared_ptr<FdmSnapshotCondition> thetaCondition_;
const boost::shared_ptr<FdmStepConditionComposite> condition_;
const Time maturity_;
const Size timeSteps_;
const Size dampingSteps_;
const FdmSchemeDesc schemeDesc_;
const Handle<FdmQuantoHelper> quantoHelper_;
std::vector<Real> x_, v_, initialValues_;
mutable Matrix resultValues_;
mutable boost::shared_ptr<BicubicSpline> interpolation_;
};
}
#endif
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